Testing Repeated ARMA(1,1) Model By Large-dimensional Random Matrix Theories

Posted on:2017-08-11

Degree:Master

Type:Thesis

Country:China

Candidate:Y Li

Full Text:PDF

GTID:2349330485459151

Subject:Statistics

Abstract/Summary:

Repeated time series has many important applications in economics and finance.For example,the analysis of the cost of production.The paper mainly tests repeated ARMA(1,1) model by central limit theorem of linear spectral statistics of large-dimensional random matrix,and does some simulations and analyzes the real data.

Keywords/Search Tags:

Repeated time series, Sample covariance matrix, Linear spectral statistics, Central limit theorem, ARMA(1)model

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